On highly skewed fractional log‐stable noise sequences and their application

Harry Pavlopoulos and George Chronis

Journal of Time Series Analysis, 2023, vol. 44, issue 4, 337-358

Abstract: Considering log‐LFSN (log‐linear fractional stable noise) sequences {Yn=eδ·Xn+ε}n∈ℤ, driven by non‐Gaussian one‐sided LFSN {Xn}n∈ℤ with constant skewness intensity β0∈[−1,1], for any δ∈ℝ−{0} and ε∈ℝ, we show that the auto‐covariance function (ACVF) {γY(h)}h∈ℤ exists if and only if {Xn}n∈ℤ is persistent, with stability index α∈(1,2), Hurst exponent H∈(1/α,1) and extreme skewness β0=−1 (if δ>0) or β0=1 (if δ

Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/jtsa.12671

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:44:y:2023:i:4:p:337-358

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().